平衡均值变化后模型和预测的改进

IF 6.9 2区经济学 Q1 ECONOMICS

International Journal of Forecasting Pub Date : 2023-10-19 DOI:10.1016/j.ijforecast.2023.09.006

Jennifer L. Castle , Jurgen A. Doornik , David F. Hendry

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引用次数: 0

摘要

均衡均值偏移可能是由动态不变的截距变化引起的，也可能是由数据均值不为零的动态变化引起的，或者两者兼而有之。诱发的移动会扭曲参数估计，造成预测原点与平衡均值之间的差异，导致预测失败，并要求修改以前的预测误差分类法。阶跃指标饱和度可以检测出诱导偏移，但并不能纠正预测失败。为了区分直接的均衡均值移动和诱导的均衡均值移动，我们通过乘法指标来增强模型，在乘法指标中，所有选定的阶跃指标都与滞后回归因子相互作用。加入这些互动指标后，诱导移动后的预测会得到明显改善。

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Improving models and forecasts after equilibrium-mean shifts

Equilibrium-mean shifts can result from changes in intercepts with constant dynamics, or be induced by shifts in dynamics with non-zero data means, or both. Induced shifts distort parameter estimates and create a discrepancy between the forecast origin and the equilibrium mean, leading to forecast failure and requiring modifications to previous forecast-error taxonomies. Step-indicator saturation can detect induced shifts, but that does not correct forecast failure. To discriminate direct from induced equilibrium-mean shifts, we augment the model by multiplicative indicators where all selected step indicators interact with the lagged regressand. Forecasts can be markedly improved after induced shifts by including these interactive indicators.

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来源期刊

International Journal of Forecasting Multiple-

CiteScore

17.10

自引率

11.40%

发文量

189

审稿时长

77 days

期刊介绍： The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.